Inflation volatility: A Bayesian approach

Niraj P. Koirala and Linus Nyiwul

Research in Economics, 2023, vol. 77, issue 1, 185-201

Abstract: The ongoing trend of high inflation across much of the world has reignited interest in inflation volatility with varying foci and methods. In this paper, we employ a Bayesian framework to estimate inflation volatility using a sample of G20 countries. Estimation results suggest persistent heterogeneity in price volatility across time and countries. Furthermore, we use the Bayesian estimates of volatility to conduct several empirical analyses on the implications of interdependence of economies, development status for uncertainty. Further analyses on the determinants of price volatility suggest that trade openness, COVID-19, and the Ukraine crisis have positive impacts on volatility. Additionally, the nature of the political institutions and the share of manufacturing in total national output are also found to affect volatility to some extent.

Keywords: Inflation volatility; Bayesian; G20; Covid-19; Ukraine invasion; Panel data (search for similar items in EconPapers)
JEL-codes: C11 E31 E61 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reecon:v:77:y:2023:i:1:p:185-201

DOI: 10.1016/j.rie.2023.01.003

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